org.drip.execution.strategy

Class OrderSpecification

java.lang.Object

org.drip.execution.strategy.OrderSpecification

public class OrderSpecification
extends java.lang.Object

OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution Time. The References are: - Almgren, R., and N. Chriss (1999): Value under Liquidation, Risk 12 (12). - Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk, Applied Mathematical Finance 10 (1) 1-18. - Almgren, R., and N. Chriss (2003): Bidding Principles, Risk 97-102. - Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact, Risk 18 (7) 57-62.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OrderSpecification(double dblSize, double dblMaxExecutionTime) OrderSpecification Constructor

Method Summary

Modifier and Type	Method and Description
double	maxExecutionTime() Retrieve the Maximum Allowed Execution Time
double	size() Retrieve the Order Size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OrderSpecification

public OrderSpecification(double dblSize,
                          double dblMaxExecutionTime)
                   throws java.lang.Exception

OrderSpecification Constructor

Parameters:

dblSize - The Size of the Order

dblMaxExecutionTime - The Maximum Allowed Execution Time of the Order

Throws:

java.lang.Exception - Thrown if the inputs are Invalid

Method Detail

maxExecutionTime

public double maxExecutionTime()

Retrieve the Maximum Allowed Execution Time

Returns:

The Maximum Allowed Execution Time

size

public double size()

Retrieve the Order Size

Returns:

The Order Size